EDIT 2:
I can't believe I didn't think of this before-- the soundtracks to Red Dead Redemption and the Undead Nightmare expansion are beyond perfect.
AND the soundtrack to the movie Dead Man, performed by Neil Young.

I've broken mine into five playlists, and set the Sansa Fuze to Shuffle and Repeat All. I try to work mostly largely with video game music, since movie soundtracks often have different moods within the same track. Outlaws - an old LucasArts game I've never played - features quite heavily, as does Red Dead Redemption. Assume goodies from there are scattered liberally throughout the playlists.

My Playlists are:
Ambient - Mostly chill old-timey music, no lyrics. A couple instrumental versions of "Man of Constant Sorrow" from O Brother, Where Art Thou?, George Winston's "Goodnight Irene" on piano, a few tracks from Firefly, wich would be much better if, again, the individual tracks didn't change moods so much.

Tension - For when things get stealthy or creepy. Iguazu from the Deadwood soundtrack starts this guy off. A few tracks from the original Quake (I still have a special place for Nine Inch Nails, even though I can't summon that teenage angst anymore), a few from Rome: Total War, and a couple from Return to Castle Wolfenstein, because it's just good sneakin' music.

Action - For, you know, action. Pretty much just Outlaws, Red Dead Redemption, two from Rome: Total War, and one track from Rango. "Flight of the Valkyries" on a banjo? Yes, please!

Scenes - I change this one around depending what I have planned. These are for particular events, often during the post-game epilogue. The game has been on hold for some time, but one character is due in court. I have queued: "The People's Court" theme, "Folsom Prison Blues," in case things go badly. We're playing The Flood, and the character will be tried in Tracy, the town that the player grew up in, and hates. Chances are he'll be going up the river to Folsom Prison, which was completed the year The Flood takes place. Heck, construction was probably accelerated a bit when San Quentin fell into the ocean. If things go really badly, he gets "Will the Circle be Unbroken" during his hangin' and burial. A few more Quake tracks for playing out his nightmare, and then Johnny Cash's "Ain't No Grave" for when he pulls himself out of the dirt.

Shan Fan Kumite - We will probably never make it this far in the story, but I really want to. Since we have no martial artists, there HAS to be a training montage. Anyone who wants to participate has to undergo grueling training, and if they succeed at a Dramatic Task, they can take a Combat Edge for the duration of the Kumite (Martial Arts is highly recommended). "Sweep the Leg," "You're the Best Around," DVDA's "Montage" and "Now You're A Man," "Eye of the Tiger," and numerous tracks from the Street Fighter and Tekken games.

Cool call on 'Calexico'... I saw them live at the Barbican in London back in 2004. Great show!_________________DAVROS: ‘Tar Lubek Ka’leed, Uth Ricta Dal’ek.’ Roughly translated, it means: ‘And on that day, men will become like gods.’ (I, DAVROS: GUILT)

I'm going to run a short game where I'll use Spiderbait's version of "Ghost Riders in the Sky" as the opening theme, Pantera's "Cowboys from Hell" as the battle song, and Johnny Cash's "When the Man Comes to Town" as the ending theme._________________Why, yes, indeed: I am rather proud of my skill at discourse - my rhetorics, if you will. It would be my great pleasure to broker peace between you good sirs and the Indians.
Incidentally, would any of you gentlemen lend me a deck?

Youtube is also invaluable for making your own custom playlists out of videos they have (especially stuff by lesser known bands from really obscure genres). I've got a huge playlist that we tend to let run during the gaming sessions, jumping around depending on the tone of the game at the moment, and sometimes I'll have another song queued up for specific scenes/encounters.

If you have to go with just a CD (people still buy those, right?) I'd second the Red Dead Redemption/Undead Nightmare soundtracks. I'd swear they were custom made for Deadlands. The first time your players hear that haunting rendition of 'Bury Me Not On the Lone Prarie' (perfect after a PC death!) it's going to give them chills.